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shodson's Trading Journal

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  #611 (permalink)
Slack
California
 
 
Posts: 61 since Apr 2010
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Don't sweat it. There's a very nasty battle going on right now with Euro. SNB, BOJ and BOC have all pledged allegiance (massive buying on dips), but I think some other large institutions sense weakness and have other plans. Wild swings in both directions.

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  #612 (permalink)
 shodson 
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
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Long time, no write!

Well, trading-wise February was my worst month in a while. I stopped subscribing to MTG for reasons previously mentioned. The founders there were puzzled and were nice enough to contact me personally but I assured them that it was nothing against them or their service, just that the lots of small wins and a few large losses approach, while profitable in the long run, is not amenable to my psychological profile. Losing a whole month's profits in 1 day is just too damaging for me.

So I just did occasional discretionary trend-retracement trades here and there if I had some time, most of which were not profitable, most based on some setups I've been researching and playing with but have not backtested, but the lack of focus and just trying to "get in" a trade here and there just doesn't work. I continue to study markets and strategies and focusing my energies on more backtesting and automation.

FWIW I did give a webinar, which was fun, but it didn't help my trading P&L



In the name of full disclosure I will go back and look up my trades and post them here, just not now, too busy with some other things. I just wanted to check in.

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  #613 (permalink)
 shodson 
OC, California, USA
 
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I am now SIMming a new strategy that I discovered last year but have been enhancing and adapting to different markets. It tests really well with just 1 parameter optimization on ES, TF and CL. In fact the 1 parameter I do optimize is not that important. It is profitable with just about any parameter setting, and the win rates are almost the same across all settings, it's just a parameter for calculating targets and stops so the PF can vary between 1.53 and 1.61, for example in TF, with just about any set of 10 values. So I'm not too afraid of being curve-fitted. Also, all entries are with limit orders, so I'm not too worried about fill behavior or slippage in comparing backtested results vs a real-time market. Also, risk/reward is 1.0, so I'm not goofing around scalping small targets with huge stop loss levels. Eventually I'd like to add some more sophisticated stop movement elements to it, but v1.0 will be good enough for me to go live with. Testing has shown that more favorable risk/reward ratios hurt overall profitability, and 1.0 performs the best.

I'm glad I'm SIMming first because it took a TF trade at 4:40 this morning, and it's supposed to only trade RTH so the SIMming is more about testing and debugging the ATS in a live market to make sure it's working correctly and according to expectations. I'll probably SIM for a week or two while I keep working on it, and SIM newer versions until I get it to where I'd like it to be.

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  #614 (permalink)
 Adamus 
London, UK
 
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shodson View Post
Long time, no write!

Well, trading-wise February was my worst month in a while. I stopped subscribing to MTG for reasons previously mentioned. The founders there were puzzled and were nice enough to contact me personally but I assured them that it was nothing against them or their service, just that the lots of small wins and a few large losses approach, while profitable in the long run, is not amenable to my psychological profile. Losing a whole month's profits in 1 day is just too damaging for me.

Hi I can sympathise completely with you for giving up on trading those gaps. You remember I was talking about adapting the idea to trade currencies on the Sunday evening / Monday open? I've been backtesting and it's a slow process and I'm not finished yet, but I'm convinced your idea for entering on a limit when the market is moving away from the gap will come up trumps. I found for the currencies that the volatility in 2008 / 2009 destroys the backtest results I've got so far and I'm trying to find the best way to filter out the high volatility - and since I'm trading lots of currency pairs the only way I can see of doing it is to hard code a maximum value for the ATR into an if statement.

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  #615 (permalink)
 shodson 
OC, California, USA
 
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ATS SIM results on CL and TF, right in-line with testing results, not every week will be this good/bad, but at least they're in-line. Actually, 2 winning trades were bugs, so I actually probably would have had a small loss instead of a profit this week, so I'm not patting myself on the back. Also, I didn't trade ES, which I will add next week and tests well too but with a few different considerations, primarily that it works best if you trade it only in the mornings.

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  #616 (permalink)
 Adamus 
London, UK
 
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Adamus View Post
Hi I can sympathise completely with you for giving up on trading those gaps. You remember I was talking about adapting the idea to trade currencies on the Sunday evening / Monday open? I've been backtesting and it's a slow process and I'm not finished yet, but I'm convinced your idea for entering on a limit when the market is moving away from the gap will come up trumps. I found for the currencies that the volatility in 2008 / 2009 destroys the backtest results I've got so far and I'm trying to find the best way to filter out the high volatility - and since I'm trading lots of currency pairs the only way I can see of doing it is to hard code a maximum value for the ATR into an if statement.

Forgot to get to the point - if you use a limit order to enter far away from the gap, you reduce the size of the losses and increase the size of the winners. But you told me that. You didn't want to experiment with that? Obviously you don't get as many winners.

You can discover what your enemy fears most by observing the means he uses to frighten you.
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  #617 (permalink)
 shodson 
OC, California, USA
 
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Adamus View Post
Forgot to get to the point - if you use a limit order to enter far away from the gap, you reduce the size of the losses and increase the size of the winners. But you told me that. You didn't want to experiment with that? Obviously you don't get as many winners.

I am, but I'd rather test it in the context of MTG probabilities, which I don't subscribe to anymore, so for now I'm not really pursuing that.

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  #618 (permalink)
 monpere 
Bala, PA, USA
 
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shodson View Post
ATS SIM results on CL and TF, right in-line with testing results, not every week will be this good/bad, but at least they're in-line. Actually, 2 winning trades were bugs, so I actually probably would have had a small loss instead of a profit this week, so I'm not patting myself on the back. Also, I didn't trade ES, which I will add next week and tests well too but with a few different considerations, primarily that it works best if you trade it only in the mornings.

I don't know the specifics of your strategy, but if you are backtesting on NinjaTrader, I hope you are familiar with the various backtesting isuues with NT, which may give very different results when you go live.

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  #619 (permalink)
 shodson 
OC, California, USA
 
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monpere View Post
I don't know the specifics of your strategy, but if you are backtesting on NinjaTrader, I hope you are familiar with the various backtesting isuues with NT, which may give very different results when you go live.

Yep, I think I've mitigated those problems, you tell me if I missed something.

1) Intra-bar limitations: while I may test on 5, 10, 15 or 20min bars, for backtesting I always have a lower timeframe bar, like a 1min or a 1tick bar, which I use to track entries, targets and stops so and large bar that could be either a winner or a loser, depending on where price went first, will be more acurately represented with a shorter time-frame bar in the strategy.
2) Slippage: I enter and exit with limit orders, so I feel my back-tested entries are good, but a target that is hit to the tick, and no further, then turns around for a loser might not be represented in backtesting, but these sorts of 1-tick wonder trades are not common.
3) Bar type: I only use minute bars, no range, tick, x-Renko, just simple minute bars, so I feel it is more realistic.

What else did I miss?

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  #620 (permalink)
 shodson 
OC, California, USA
 
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Monday, March 7th, 2011 - I went live with my ATS today and added ES, with good overall results.

ES: -16 ticks
TF: -2 ticks (2 trades, -18 and +16)

CL: +53 ticks


Interestingly, my 2nd TF trade (+16 winner) hit my target to the tick, I was very fortunate to be filled on that target because price turned around and would have stopped me out.

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